Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1183 |
| Annualized Std Dev | 0.6055 |
| Annualized Sharpe (Rf=0%) | -0.1954 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3557.0000 |
| NAs | 1.0000 |
| Minimum | -0.3795 |
| Quartile 1 | -0.0160 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | -0.0005 |
| Quartile 3 | 0.0178 |
| Maximum | 0.3629 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | -0.0010 |
| UCL Mean (0.95) | 0.0015 |
| Variance | 0.0015 |
| Stdev | 0.0381 |
| Skewness | -0.1374 |
| Kurtosis | 12.7968 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0274 |
| Gain Deviation | 0.0278 |
| Loss Deviation | 0.0296 |
| Downside Deviation (MAR=210%) | 0.0315 |
| Downside Deviation (Rf=0%) | 0.0273 |
| Downside Deviation (0%) | 0.0273 |
| Maximum Drawdown | 0.9736 |
| Historical VaR (95%) | -0.0567 |
| Historical ES (95%) | -0.0910 |
| Modified VaR (95%) | -0.0541 |
| Modified ES (95%) | -0.0621 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-21 | 2020-03-23 | NA | -0.9736 | 3231 | 2980 | NA |
| 2007-10-19 | 2008-02-06 | 2008-05-16 | -0.3461 | 145 | 75 | 70 |
| 2007-07-20 | 2007-08-16 | 2007-09-20 | -0.2448 | 44 | 20 | 24 |
| 2007-02-27 | 2007-03-05 | 2007-03-22 | -0.1238 | 18 | 5 | 13 |
| 2007-06-19 | 2007-06-26 | 2007-07-09 | -0.0916 | 14 | 6 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | -1.8 | -2.7 | 0.7 | 2.1 | 0.7 | 0 | 1.6 | 2.9 | -4.4 | 0.6 | -2.4 | -2.8 |
| 2008 | 2.2 | -6.1 | 3.3 | -5.1 | 1.1 | 0.9 | -0.3 | -1.8 | -2.9 | 1.7 | -19.8 | 2 | -23.9 |
| 2009 | -2.3 | -4.8 | 4.5 | 4.9 | 7.3 | 0.2 | 1.3 | -3.3 | -6 | -7.4 | 2.9 | -1.7 | -5.6 |
| 2010 | 5.9 | 1.8 | 3.4 | -2.4 | -8.7 | -0.8 | -0.5 | 7.4 | 2.4 | 0.6 | 5.5 | 0.3 | 14.7 |
| 2011 | 3.4 | -3.5 | 0.7 | 3 | -4.5 | 1.9 | -0.1 | -1.5 | -5.5 | -6.4 | -1.1 | -0.2 | -13.6 |
| 2012 | 0.8 | 2 | 1.3 | 2.8 | -4.6 | 6.4 | 1 | 1.7 | 1 | 1.1 | -0.1 | 4.1 | 18.5 |
| 2013 | 1.8 | -0.4 | -0.2 | -3 | -4 | 1.4 | 2.4 | -0.4 | 1.3 | -0.8 | -0.5 | 1.8 | -0.8 |
| 2014 | -2.8 | 1.2 | 1 | -0.7 | -1.2 | 0.2 | -0.8 | 1.1 | -3.9 | 3.8 | 0.8 | -1.5 | -3 |
| 2015 | 1.2 | -0.6 | 0.4 | 0.4 | -0.4 | -2.8 | -5.1 | -7.5 | 0.3 | 1.5 | 1.5 | 0.9 | -10.4 |
| 2016 | -3.8 | 3.7 | -3 | -0.2 | 0.4 | 1.3 | -6.8 | -0.7 | 2.6 | 0.1 | 0.6 | -0.2 | -6.3 |
| 2017 | -1.5 | 4.2 | -0.5 | -0.4 | 1.6 | 1 | -0.1 | 1.9 | 0.3 | 2.4 | 1.8 | -0.6 | 10.6 |
| 2018 | 2.2 | -0.2 | 4 | -1.2 | 0.7 | 1.4 | -2.8 | -1.5 | 2.7 | 1.8 | -0.8 | 0.9 | 7.3 |
| 2019 | 3.4 | 3.7 | 2.5 | -4.4 | -3.3 | 0.4 | -5 | 0 | -4.7 | 4.9 | -2 | 1 | -4 |
| 2020 | -6.1 | 2.6 | -10 | -11.4 | 3.2 | -4.9 | -1.1 | -1.6 | -6 | 0.9 | 0.8 | -1.9 | -31.1 |
| 2021 | 1.5 | 5.5 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 711 SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
2 2007-02-02 724. SPY 145. 1.40e-3 0.0186 0.0243 0.0509 0.128 0.271 0.280 GLD 64.3 -0.0144 0.0028
3 2007-02-05 718 SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
4 2007-02-06 710. SPY 145. 3.00e-4 0.0147 0.031 0.0593 0.148 0.284 0.319 GLD 64.8 0.0075 0.0089
5 2007-02-07 726 SPY 145. 2.20e-3 0.0102 0.0285 0.0635 0.147 0.283 0.330 GLD 64.6 -0.0025 -0.0031
6 2007-02-08 721. SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 0.0138 0.0046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
